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The main objective of this paper is to analyze the impact on economic activity caused by a greater exposition of the financial institutions to risk taking into account macroeconomic factors. Hence, this paper considers two indicators for perceiving the banking risk for the Brazilian case. The first is the Basel index as a measurement of prudential regulation. The second one is the risk of total loss, that is, the default risk of an institution which can create a systemic crisis. Empirical evidence is presented based on dynamic panel data, ordinary least squares, and quantile regression for a sample of 66 Brazilian banks in the period from 2001 to 2009. The findings denote that an increase in the banking risk is associated with a greater economic activity. Therefore, there exists indication that the use of a liquidity cushion in the periods of economic growth can be used as an anti-cyclical tool for avoiding bubbles in the financial market.